Short-term Mean-Reversion Between Implied and Realized

Investors: Mean Reversion and Trading Volatility - Ticker Tape

Mean reverting strategies and volatility. Mean reverting strategies are beating on mean reversion of the prices. There are various flavors of mean reverting strategies, but as a proxy I chose RSI(2). You can find many entries on blogosphere about this strategy, but nowadays its popularity dried up.

Finding a Statistical Edge with Mean Reversion Trading

Volatility and Mean Reversion - Yahoo Finance

Mean reversion refers to the idea that what goes up should come down, and vice versa. When we look at historical graphs of implied volatility, there is a clear trend that when IV reaches its relative peak, it tends to come down eventually. Also, when IV reaches its relative low, it tends to come back up.

Option Pricing with Mean Reversion and Stochastic Volatility

Mean reversion (finance) - Wikipedia

Mean-reversion strategies bridge the gap between buyers and sellers and can expect to generate a profit from that. This strategy is most effective in markets that are both high in volatility and are mean reverting. Volatility measures the size of the market’s swings.

Mean Reversion Trading Strategy - Contracts for Difference

That’s because, while the VIX index itself is predictably mean-reverting, VIX futures and ETPs (a) trade out much of this mean-reversion, and (b) introduce other unique factors like volatility risk premium that sometimes dwarf this mean-reversion effect. Here we apply MarketSci’s filter to our own strategy.